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Portfolio optimization with entropic value-at-risk
16 references·3 citing·32 second hop
Portfolio optimization with entropic value-at-risk (2019)Portfolio optimization with entropic valu…Distributionally Robust Stochastic Programming (2017)Distributionally Robust Stoch…Markowitz revisited: Social portfolio engineering (2016)Markowitz revisited: Social p…Twenty years of linear programming based portfolio optimization (2013)Twenty years of linear progra…60 Years of portfolio optimization: Practical challenges and current trends (2013)60 Years of portfolio optimiz…Entropic Value-at-Risk: A New Coherent Risk Measure (2011)Entropic Value-at-Risk: A New…Modeling and optimization of risk (2010)Modeling and optimization of …Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008)Value-at-Risk vs. Conditional…Coherent Approaches to Risk in Optimization Under Uncertainty (2007)Coherent Approaches to Risk i…Optimization of Convex Risk Functions (2006)Optimization of Convex Risk F…Minimizing CVaR and VaR for a portfolio of derivatives (2005)Minimizing CVaR and VaR for a…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Coherent Measures of Risk (1999)Coherent Measures of RiskA Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Higher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portf…Mean-variance-skewness portfolio optimization under uncertain environment using improved genetic algorithm (2021)Mean-variance-skewness portfo…Copula-based Black–Litterman portfolio optimization (2021)Copula-based Black–Litterman …Cores of convex games (1971)Modelling Extremal Events (1997)On law invariant coherent risk measures (2001)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Optimization of conditional value-at-risk (2000)From Data to Decisions: Distributionally Robust Optimization Is Optimal (2020)Resilience and sustainable supply chain network design by considering renewable energy (2021)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)Methods of Measuring the Concentration of Wealth (1905)Analysis of stochastic dual dynamic programming method (2010)A unified framework for stochastic optimization (2018)Climate Risk and Financial Stability in the Network of Banks and Investment Funds (2019)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Building Diversified Portfolios that Outperform Out of Sample (2016)Decision-making for financial trading: A fusion approach of machine learning and portfolio selection (2018)Portfolio optimization with return prediction using deep learning and machine learning (2020)Selection of supply portfolio under disruption risks (2010)Selection of resilient supply portfolio under disruption risks (2012)Supply chain resilience for single and multiple sourcing in the presence of disruption risks (2017)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)A Guide to Sample Average Approximation (2014)Data-driven chance constrained stochastic program (2015)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2009Lectures on Stochastic Programming1,419 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 201360 Years of portfolio optimization: Practical challenges and current trends633 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2008Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization389 cited
  • 2011Entropic Value-at-Risk: A New Coherent Risk Measure277 cited
  • 2005Minimizing CVaR and VaR for a portfolio of derivatives243 cited
  • 2007Coherent Approaches to Risk in Optimization Under Uncertainty238 cited
  • 2013Twenty years of linear programming based portfolio optimization218 cited
  • 2010Modeling and optimization of risk168 cited
  • 2016Markowitz revisited: Social portfolio engineering144 cited
  • 2017Distributionally Robust Stochastic Programming

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Cited by

  • 2021Copula-based Black–Litterman portfolio optimization43 cited
  • 2023Higher-order moments in portfolio selection problems: A comprehensive literature review41 cited
  • 2021Mean-variance-skewness portfolio optimization under uncertain environment using improved genetic algorithm38 cited